Your best best is to use a Regex rather than Split: split does not keep the delimiter:
string input = "MKWVTFISLLLLFSSAYSRGVFRRDTHKSEIAHRFKDLGEEHFKGLVLIAFSQYLQVK";
Regex regex = new Regex("([^KR])*[KR]");
MatchCollection ms = regex.Matches(input);
foreach (Match m in ms)
{
Console.WriteLine(m.Value);
}